| Metric | EQW | ^DJI | SPY | MV (120d) | BL (120d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 94.0% | 99.0% |
| Cumulative Return | 408.02% | 320.26% | 539.04% | 713.34% | 386.03% |
| CAGR﹪ | 6.69% | 5.89% | 7.67% | 8.71% | 6.5% |
| Sharpe | 0.42 | 0.4 | 0.48 | 0.52 | 0.43 |
| Prob. Sharpe Ratio | 98.09% | 97.76% | 99.14% | 99.48% | 98.31% |
| Smart Sharpe | 0.39 | 0.38 | 0.45 | 0.48 | 0.4 |
| Sortino | 0.58 | 0.57 | 0.67 | 0.71 | 0.59 |
| Smart Sortino | 0.55 | 0.53 | 0.63 | 0.67 | 0.56 |
| Sortino/√2 | 0.41 | 0.4 | 0.48 | 0.51 | 0.42 |
| Smart Sortino/√2 | 0.39 | 0.38 | 0.45 | 0.47 | 0.39 |
| Omega | 1.08 | 1.08 | 1.09 | 1.1 | 1.09 |
| Max Drawdown | -59.82% | -53.78% | -55.19% | -53.54% | -58.43% |
| Max DD Date | 2008-11-20 | 2009-03-09 | 2009-03-09 | 2008-09-17 | 2008-11-20 |
| Max DD Period Start | 2007-11-01 | 2007-10-10 | 2007-10-10 | 2007-11-01 | 2007-11-01 |
| Max DD Period End | 2011-04-26 | 2013-03-04 | 2012-08-15 | 2010-09-28 | 2010-11-03 |
| Longest DD Days | 1453 | 2450 | 2404 | 2630 | 1408 |
| Volatility (ann.) | 20.79% | 18.55% | 19.53% | 20.15% | 19.12% |
| Calmar | 0.11 | 0.11 | 0.14 | 0.16 | 0.11 |
| Skew | -0.28 | -0.11 | -0.01 | -0.5 | -0.23 |
| Kurtosis | 12.33 | 12.25 | 11.16 | 11.56 | 14.9 |
| Expected Daily | 0.03% | 0.02% | 0.03% | 0.03% | 0.03% |
| Expected Monthly | 0.54% | 0.48% | 0.62% | 0.7% | 0.52% |
| Expected Yearly | 6.45% | 5.68% | 7.39% | 8.4% | 6.27% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -2.12% | -1.89% | -1.99% | -2.05% | -1.95% |
| Expected Shortfall (cVaR) | -3.82% | -3.82% | -3.82% | -3.82% | -3.82% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.08 | 1.08 | 1.09 | 1.1 | 1.09 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.93 | 0.96 | 0.92 | 0.96 | 0.92 |
| Outlier Win Ratio | 3.79 | 4.3 | 4.12 | 4.22 | 4.32 |
| Outlier Loss Ratio | 3.76 | 4.3 | 3.97 | 3.65 | 4.14 |
| MTD | 2.59% | 2.57% | 5.17% | 4.8% | 2.51% |
| 3M | 7.06% | 10.94% | 12.06% | 7.65% | 6.08% |
| 6M | 9.24% | 14.12% | 16.79% | 12.77% | 7.07% |
| YTD | 0.74% | 3.83% | 6.85% | 7.36% | 0.52% |
| 1Y | 11.09% | 18.42% | 29.36% | 17.29% | 7.36% |
| 3Y (ann.) | 3.56% | 6.31% | 10.76% | 25.06% | 2.14% |
| 5Y (ann.) | 5.78% | 9.1% | 14.72% | 17.8% | 4.64% |
| 10Y (ann.) | 3.72% | 9.29% | 12.72% | 8.16% | 3.18% |
| All-time (ann.) | 6.69% | 5.89% | 7.67% | 8.71% | 6.5% |
| Best Day | 14.86% | 11.37% | 14.52% | 14.98% | 13.81% |
| Worst Day | -12.09% | -12.93% | -10.94% | -12.18% | -11.25% |
| Best Month | 16.17% | 13.95% | 12.7% | 23.07% | 16.4% |
| Worst Month | -25.09% | -14.06% | -16.52% | -18.71% | -22.23% |
| Best Year | 56.84% | 26.5% | 32.31% | 66.91% | 58.09% |
| Worst Year | -44.11% | -33.84% | -36.79% | -43.56% | -41.23% |
| Avg. Drawdown | -3.4% | -2.3% | -2.04% | -3.87% | -2.85% |
| Avg. Drawdown Days | 55 | 46 | 32 | 61 | 52 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.16 | 0.14 | 0.17 | 0.21 | 0.15 |
| Serenity Index | 0.39 | 0.34 | 0.39 | 0.35 | 0.36 |
| Avg. Up Month | 4.8% | 3.61% | 3.81% | 5.39% | 4.35% |
| Avg. Down Month | -5.91% | -4.53% | -4.66% | -5.24% | -5.31% |
| Win Days | 53.4% | 53.12% | 54.29% | 54.1% | 53.44% |
| Win Month | 55.96% | 60.93% | 62.91% | 57.79% | 59.12% |
| Win Quarter | 62.38% | 65.35% | 70.3% | 61.22% | 63.64% |
| Win Year | 65.38% | 69.23% | 76.92% | 65.38% | 65.38% |
| Year | EQW | ^DJI | SPY | MV (120d) | BL (120d) |
|---|---|---|---|---|---|
| 1999 | 23.68 | 22.39 | 19.28 | 12.74 | 8.67 |
| 2000 | -13.41 | -4.22 | -7.41 | -18.64 | -14.28 |
| 2001 | -8.20 | -5.12 | -10.11 | -1.00 | -7.87 |
| 2002 | -9.89 | -15.11 | -20.83 | -16.86 | -6.34 |
| 2003 | 41.59 | 23.95 | 26.20 | 52.27 | 46.65 |
| 2004 | 26.02 | 3.69 | 10.78 | 37.58 | 24.71 |
| 2005 | 16.82 | -0.08 | 5.25 | 17.50 | 13.54 |
| 2006 | 29.10 | 15.58 | 15.21 | 29.74 | 30.03 |
| 2007 | 19.97 | 7.29 | 6.28 | 31.47 | 22.49 |
| 2008 | -47.06 | -34.13 | -37.36 | -51.38 | -42.53 |
| 2009 | 50.14 | 20.17 | 26.93 | 53.06 | 46.99 |
| 2010 | 20.58 | 11.76 | 15.63 | 24.36 | 20.51 |
| 2011 | -16.31 | 7.59 | 4.53 | -34.86 | -14.77 |
| 2012 | 22.81 | 7.69 | 15.64 | 7.24 | 19.23 |
| 2013 | 9.37 | 24.03 | 28.62 | 18.33 | 14.08 |
| 2014 | -4.15 | 7.84 | 13.27 | -10.87 | -3.32 |
| 2015 | -10.85 | -1.07 | 2.41 | -9.97 | -6.62 |
| 2016 | 9.23 | 13.38 | 12.18 | 16.85 | 6.40 |
| 2017 | 24.15 | 22.61 | 19.88 | 19.62 | 23.18 |
| 2018 | -12.80 | -4.20 | -3.23 | -2.55 | -13.64 |
| 2019 | 17.45 | 20.94 | 27.97 | 3.91 | 15.91 |
| 2020 | 11.12 | 13.82 | 22.47 | 5.97 | 9.32 |
| 2021 | 8.83 | 17.94 | 26.11 | 19.53 | 10.15 |
| 2022 | -6.52 | -7.24 | -17.13 | 48.73 | -10.05 |
| 2023 | 14.43 | 13.49 | 24.11 | 0.82 | 11.05 |
| 2024 | 0.83 | 3.81 | 6.73 | 7.22 | 0.59 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2011-04-26 | -59.82 | 1273 |
| 2000-01-04 | 2003-12-26 | -41.42 | 1453 |
| 2018-01-29 | 2020-12-16 | -41.02 | 1053 |
| 2014-07-07 | 2017-07-25 | -31.03 | 1115 |
| 2011-05-02 | 2013-01-18 | -27.33 | 628 |
| 2022-01-13 | 2023-07-25 | -23.27 | 559 |
| 2006-05-10 | 2006-10-25 | -18.31 | 169 |
| 2007-07-16 | 2007-09-28 | -14.38 | 75 |
| 2013-05-09 | 2013-09-17 | -13.41 | 132 |
| 2004-02-18 | 2004-09-20 | -13.21 | 216 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| 2007-07-20 | 2007-09-28 | -8.25 | 71 |
| 2014-01-02 | 2014-04-29 | -7.26 | 118 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2000-01-20 | 2000-03-16 | -9.30 | 57 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2010-09-28 | -53.54 | 1063 |
| 2000-03-06 | 2004-01-02 | -52.66 | 1398 |
| 2018-04-12 | 2021-04-23 | -40.50 | 1108 |
| 2010-11-08 | 2018-01-19 | -38.80 | 2630 |
| 2022-04-08 | 2022-09-09 | -18.17 | 155 |
| 2023-01-04 | 2024-01-26 | -17.84 | 388 |
| 2007-07-20 | 2007-09-26 | -16.75 | 69 |
| 2022-09-13 | 2022-10-14 | -16.09 | 32 |
| 2006-05-11 | 2006-10-03 | -15.11 | 146 |
| 1999-07-06 | 1999-11-24 | -14.03 | 142 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2010-11-03 | -58.43 | 1099 |
| 2018-01-29 | 2021-01-04 | -38.97 | 1072 |
| 2000-01-04 | 2003-11-11 | -37.39 | 1408 |
| 2011-05-02 | 2013-05-07 | -27.41 | 737 |
| 2014-07-07 | 2017-05-15 | -25.83 | 1044 |
| 2022-01-13 | 2024-02-23 | -21.82 | 772 |
| 2006-05-10 | 2006-10-13 | -15.30 | 157 |
| 2004-02-18 | 2004-09-30 | -13.69 | 226 |
| 2007-07-13 | 2007-09-26 | -13.42 | 76 |
| 2013-05-09 | 2013-09-17 | -11.65 | 132 |